Chapter 17 Problems

Chapter 17 Problems - strategy 9 It is now January The...

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Chapter 17 Problems 1. On January 1, you sold one March maturity S&P 500 Index futures contract at a futures price of 800. If the futures price is 850 on February 1, what is your profit? The contract multiplier is 250. 3. A one-year gold futures contract is selling for $941. Spot gold prices are $900 and the one-year risk free rate is 4%. What arbitrage opportunity is available to investors? What strategy should they use, and what will be the profits on the
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Unformatted text preview: strategy? 9. It is now January. The current interest rate is 4%. The June futures price for gold is $946.30 while the December futures price is $952. Is there an arbitrage opportunity here? If so, how would you exploit it? 18. What type of interest rate swap would be appropriate for a speculator who believes interest rates soon will fall?...
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